esrb risk dashboard€¦ · the esrb risk dashboard is a set of quantitative and qualitative...

ESRB risk dashboard

Production date: 10 June 2020

DISCLAIMER: The risk dashboard is a set of quantitative indicators and not an early-warning system.

Users may not rely on the indicators as a basis for any mechanical form of inference.

Table of contents

1 ESRB risk dashboard, 10 June 2020

1. Interlinkages and composite measures of systemic risk 1.1 Composite indicator of systemic stress 3 1.2 Probability of a simultaneous default 3 1.3 Cross-border claims of banks 4 1.4 MFI credits by counterpart sectors 5 1.5 MFI deposits by counterpart sector 5 1.6 MFI credits to general government 6 1.7 MFI loans for house purchase 6 1.8 Investment funds’ holdings of debt securities by counterpart sector 7 1.9 Investment funds’ holdings of equity and investment fund shares by counterpart sector 7 1.10 Insurance corporations’ assets allocation (including derivative holdings) 8 1.11 Reinsurance part of premiums 8

2. Macro risk 2.1 Current and forecast real GDP growth 9 2.2 Domestic credit-to-GDP gap 9 2.3 Current account balance-to-GDP ratio 10 2.4 Unemployment rate 10 2.5 Aggregate debt-to-GDP ratio 11 2.6 General government debt-to-GDP ratio 12 2.7 General government deficit-to-GDP ratio 12 2.8 CDS premia on sovereign debt 13 2.9 Government debt service 13 2.10 Household debt-to-gross disposable income ratio 14 2.11 NFC debt-to-GDP ratio 14

3. Credit risk 3.1 Annual growth rates of MFIs loans to households 15 3.2 Annual growth rates of MFI loans to NFCs 15 3.3 Cost of borrowing from MFIs for households (for house purchase) 16 3.4 Cost of borrowing from MFIs for NFCs 16 3.5 Lending margins of MFIs - loans to households (for house purchase) 17 3.6 Lending margins of MFIs - loans to NFCs 17 3.7 Changes in credit standards for loans to households (for house purchase) 18 3.8 Changes in credit standards for loans to NFCs 18 3.9 Option-adjusted spreads on euro area corporate bonds 19 3.10 Expected default frequency of the corporate sector 19 3.11 Foreign currency loans 20 3.12 Over/undervaluation of residential property prices 21 3.13 Change in nominal residential property prices 21 3.14 Insurance groups’ credit quality steps 22

4. Funding and liquidity 4.1 Interbank interest rate spreads 23 4.2 EUR/USD cross-currency basis swap spreads 23 4.3 Banks’ funding by central banks 24 4.4 Money markets and the Eurosystem’s standing facilities 24 4.5 Maturity profile of Banks’ outstanding debt securities 25 4.6 Banks’ long-term debt securities issuance 25 4.7 Loan-to-deposit ratio 26 4.8 CDS spread between senior and subordinated debt 26 4.9 Insurance groups’ liquid asset ratio 27

5. Market risk 5.1 Equity indices 28 5.2 Price/earnings ratio of equity indices 29 5.3 Exchange rate volatility 29 5.4 Short-term interest rates - implied volatility ^1)^^2)^ 30 5.5 Long-term interest rates - implied volatility ^1)^^2)^ 30 5.6 Insurance groups’ assets and liabilities duration 31

6. Profitability and solvency 6.1 Banking groups’ profitability indicators 32 6.2 Banking groups’ solvency, liquidity and balance sheet structure indicators 33 6.3 Insurance groups’ profitability indicators 34 6.4 Insurance groups’ solvency indicators 35 6.5 Insurance groups’ quality of own funds 35

7. Structural risk 7.1 Banking sector size 36 7.2 Banking sector leverage 36 7.3 Growth of components of the EU financial sector 37 7.4 Total assets of investment funds and OFIs 37 7.5 Total assets of investment funds and OFIs in the EU 37 7.6 Non-MMF investment funds ratio of short term assets to short term liabilities 38 7.7 Insurance groups’ profitability indicators 38

8. Risk related to central counterparties 8.1 Prefunded default resources 39 8.2 Haircut and margining policies 39 8.3 Collateral policies 40 8.4 Liquidity policies: qualifying liquid resources to the estimated largest same-day payment obligation 40 8.5 Liquidity policies: cash ratio 41 8.6 Concentration at CCP level 41 8.7 Wind-down ratio 42 8.8 Interoperability arrangements 42 8.9 Share of client clearing 43 8.10 Cash reinvestment policies 43


General notes

The ESRB risk dashboard is a set of quantitative and qualitative indicators of systemic risk in the EU financial system. The composition and presentation of the ESRB risk dashboard were reviewed in the fourth quarter of 2019. On 31 January 2020 the United Kingdom left the European Union, taking the number of EU Member States to 27. Unless otherwise indicated, all time series that include observations for February 2020, the first quarter of 2020 or the full year 2020 refer to the EU excluding the United Kingdom for the whole time series. In all the remaining time series, all EU indicators relate to the 28 Member States of the EU (the EU28). In addition, all data series cover the 19 countries in the euro area for the whole time series. For statistics based on the balance sheet of the monetary financial institution (MFI) sector, as well as statistics on financial markets and interest rates, the series relate to the composition of the EU/euro area in the period covered (changing composition). Statistics based on the balance sheet of the MFI sector are unconsolidated. Additional indicators to support the assessment of systemic risk in the EU financial system are available in the Macroprudential Database: http://sdw/browse.do?node=9689335

List of countries and aggregates

Austria AT France FR The Netherlands NL Belgium BE Greece GR Poland PL Bulgaria BG Croatia HR Portugal PT Cyprus CY Hungary HU Romania RO Czech Republic CZ Ireland IE Sweden SE Germany DE Italy IT Slovenia SI Denmark DK Lithuania LT Slovakia SK Estonia EE Luxembourg LU United Kingdom UK Spain ES Latvia LV Euro area EA Finland FI Malta MT European Union EU

List of acronyms

BIS Bank for International Settlements ICPF Insurance Corporation and Pension Funds CDS Credit Default Swap IMF International Monetary Fund CISS Composite Indicator of Systemic Stress IPD Investment Property Databank COREP Common Solvency Ratio Reporting MFI Monetary and Financial Institutions EBA European Banking Authority MMF Money Market Funds ECB European Central Bank NFC Non-Financial Corporations EIOPA European Insurance and OFI Other Financial Intermediaries Occupational Pensions Authority ITS Implementing Technical Standards EONIA Euro OverNight Index Average SovCISS Sovereign Composite Indicator of Systemic Stress ESCB European System of Central Banks

Introductory note to the Section ’’8. Risk related to central counterparties’’

The following indicators on central counterparties are designed to provide a macroprudential, systemic perspective over time on CCPs’ default resources, collateral, margins and haircuts, interoperability arrangements and concentration of clearing members. The indicators cover all 16 CCPs that are authorised in the EU and which are regulated under EMIR. Differences across CCPs may reflect differences in business models, membership structure and products cleared. An ESRB Occasional Paper provides further detail on the rationale, the computation of these indicators and open questions. The data from which these indicators were computed are published by CCPs according to the CPMI - IOSCO Public Quantitative Disclosure Framework (PQD) and have not been verified by the ESRB. Data from all authorised CCPs in the EU are shown with the exception of Athex Clear that do not report data according to the CPMI-IOSCO

Cut-off date

Data available to the ECB by Thursday, 10 June 2020 were taken into account in these statistics.

Contact

For enquiries regarding the risk dashboard and its contents, please contact: https://ecb-registration.escb.eu/statistical-information

1. Interlinkages and composite measures of systemic risk

3 ESRB risk dashboard - Section 1. Interlinkages and composite measures of systemic risk, 10 June 2020

1.1 Composite indicator of systemic stress(Last observation: 5 Jun. 2020)

correlationmoney marketfinancial sectorbond market

forex marketequity marketCISSSovCISS

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019-0.4

-0.2

0.0

0.2

0.4

0.6

0.8

1.0

Q3 Q4 Q1 Q22019 2020

-0.5

-0.4

-0.3

-0.2

-0.1

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

Sources: Thomson Reuters, ECB and ECB calculations.

Notes: The CISS is unit-free and constrained to lie within the interval (0, 1). See Hollo, D., Kremer, M. and Lo Duca, M., ’’CISS - a composite indicator of systemic stress in the financial

system’’, Working Paper Series, No 1426, ECB, March 2012. The Sovereign CISS applies the same methodological concept of the CISS. On aggregation of different measures of stress in different

euro area sovereign bond markets see Garcia-de-Andoain, C. and Kremer, M., ’’Beyond spreads: measuring sovereign market stress in the euro area’’, Economics Letters, Vol. 159, 2017,

pp. 153-156.

1.2 Probability of a simultaneous default(Percentages; last observation: 8 Jun. 2020)

by two or more large and complex banking groupsby two or more EU sovereigns

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20190

5

10

15

20

25

30

Q3 Q4 Q1 Q22019 2020

0

1

2

3

4

5

6

Sources: Bloomberg, Thomson Reuters and ECB calculations.

Note: See Box 8, Financial Stability Review, ECB, June 2012.



1.3 Cross-border claims of banks(Sample of EU countries; percentages; last observation: Q3 2019)

AT

BE

BG

CY

CZ

DE

DK

EE

ES

FI

FR

UK

GR

HR

HU

IE

IT

LV

LT

LU

MT

NLPL

PT

ROSI

SK

SE

Source: ECB and ECB calculations.

Notes: Based on Consolidated Banking Data. The size of the bubbles corresponds to the ratio of domestic to total claims of a country’s consolidated banking sector. The thickness of the arrows

depends on the share of bilateral foreign claims in the total claims of the banking sector extending the loans. Arrows are not displayed in cases where the corresponding ratio is below 5%. Due to

the use of consolidated data, cross-border claims also include banks’ exposures to other countries in the EU through the presence of subsidiaries in those countries. Data for UK not available.



1.4 MFI credits by counterpart sectors

a. Four-quarter cumulated flows(euro area; EUR billions; last observation: Q1 2020)

b. Outstanding amounts(euro area; EUR trillions; last observation: Q1 2020)

2008 2010 2012 2014 2016 2018-1500

-1000

-500

0

500

1000

1500

2000

2500

3000

3500

-1500

-1000

-500

0

500

1000

1500

2000

2500

3000

3500

EurosystemMFIs excluding Eurosystemgeneral governmentNFCshouseholds

other financial institutionsinsurance corporations and pension funds non-euro area residentstotal

2008 2010 2012 2014 2016 20180

5

10

15

20

25

30

35

0

5

10

15

20

25

30

35

Source: ECB.

Notes: MFIs excluding the Eurosystem. Credit comprises loans and holdings of securities. Eurosystem credit comprises only loans. Households include non-profit institutions serving households.

Source: ECB.

1.5 MFI deposits by counterpart sector

a. Four-quarter cumulated flows(euro area; EUR billions; last observation: Q1 2020)


2008 2010 2012 2014 2016 2018-1500

-1000

-500

0

500

1000

1500

2000

2500

-1500

-1000

-500

0

500

1000

1500

2000

2500

EurosystemMFIs excluding Eurosystemgeneral governmentNFCshouseholds

other financial institutionsinsurance corporations and pension funds non-euro area residentstotal

2008 2010 2012 2014 2016 20180

5

10

15

20

25

0

5

10

15

20

25

Source: ECB.

Notes: MFIs excluding the Eurosystem. Households include non-profit institutions serving households.

Source: ECB.



1.6 MFI credits to general government(EU; share of total assets; percentages)

RO PL HU HR IT SI SK PT ES CZ CY BG GR BE MT AT DE LV FR LT NL FI SE DK EE IE LU0

5

10

15

20

25

- --

--

-- - -

- - -- -

- - -- - - - - - - - - - 0

5

10

15

20

25

last observation: Apr. 2020Apr. 2019

- three-year average

Source: ECB.

Notes: Credit extended by MFIs excluding the ESCB to domestic general government. Credit comprises granted loans and holdings of debt securities issued. Total assets excludes remaining assets.

For some countries, such as Italy and France, government-owned agencies mandated to finance primarily public administrations are listed as MFIs.

1.7 MFI loans for house purchase(EU; share of credit to the private sector; percentages)

DK SK MT SE NL DE IE LT EE PT FI CZ BE ES FR LV PL GR CY AT LU RO SI HR IT HU BG0

10

20

30

40

50

60

-- - -

- - - - - - - -- - - - - -

-- - - -

- - --

0

10

20

30

40

50

60



Source: ECB.

Notes: MFIs excluding the ESCB. Data refer to loans granted to domestic households for house purchase purpose. Credit comprises loans and holdings of debt securities.



1.8 Investment funds’ holdings of debt securities by counterpart sector

a. Cumulated flows(euro area; four-quarter cumulated flows; EUR billions; last observation: Q1 2020)


2010 2012 2014 2016 2018-200

-100

0

100

200

300

400

500

600

-200

-100

0

100

200

300

400

500

600

MFIsgeneral governmentother financial institutionsinsurance corporations and pension fundsNFCs

non-euro area residentstotal

2010 2012 2014 2016 20180

1

2

3

4

5

6

7

0

1

2

3

4

5

6

7

Source: ECB. Source: ECB.

1.9 Investment funds’ holdings of equity and investment fund shares by counterpart sector

a. Cumulated flows(euro area; four-quarter cumulated flows; EUR billions; last observation: Q1 2020)


2010 2012 2014 2016 2018-200

-100

0

100

200

300

400

500

-200

-100

0

100

200

300

400

500

MFIs other than MMFsMMFsother financial institutionsinsurance corporations and pension fundsNFCs

investment funds other than MMFsnon-euro area residentstotal

2010 2012 2014 2016 20180

1

2

3

4

5

6

7

8

0

1

2

3

4

5

6

7

8

Source: ECB. Source: ECB.



1.10 Insurance corporations’ assets allocation (including derivative holdings)(EU; outstanding amounts; EUR billions; last observation: Q4 2019)

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

10000

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

10000

government bondscorporate bonds - financials - unsecuredcorporate bonds - financials - securedcorporate bonds - non-financials

loans & mortgagesequity & participationspropertycash & deposits (short term investments)

derivative holdingscollective investment undertakingsother assets

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42016 2016 2017 2017 2017 2017 2018 2018 2018 2018 2019 2019 2019 2019

Source: EIOPA, based on Solvency II Reporting.

Note: For more details on the Solvency II reporting please see Annex I to the risk dashboard.

1.11 Reinsurance part of premiums(EU; percentages; interquartile range and median; last observation: Q4 2019)

2

4

6

8

10

12

14

16

18

20

2

4

6

8

10

12

14

16

18

20

Q2 Q3 Q4 Q1 Q2 Q3 Q42018 2018 2018 2019 2019 2019 2019


Note: The reinsurance part of premiums is defined as the share of the premiums that is ceded to reinsurers.It is calculated as the complement to 1 of the retention ratio which, in turn

is defined as the net premiums written divided by gross premiums written. For more details on the Solvency II reporting please see Annex I to the risk dashboard.

2. Macro risk

9 ESRB risk dashboard - Section 2. Macro risk, 10 June 2020

2.1 Current and forecast real GDP growth(EU; percentage changes; year-on-year growth)

IE LU RO BG LT HU PL CY MT SE HR DK NL FI EE GR LV CZ DE PT BE EU AT EA SI SK ES FR IT-6

-4

-2

0

2

4

6

8

10

-

-

-- - - -

--

- - - - -

-

-- -

--

- - - -- - - -

-

-6

-4

-2

0

2

4

6

8

10

last observation: Q1 2020

- three-year average2021 forecast

Sources: European Commission and the European Commission Spring 2020 forecast.

Notes: The three-year historical average is the average of the year-on-year growth rates over the last 12 quarters. For LU, "last observation" refers to Q4 2019.

2.2 Domestic credit-to-GDP gap(EU; percentages)

FR SE DE HR CZ LT RO SK AT MT FI PL EE BG UK IT LV BE SI HU GR DK NL ES PT LU IE CY-100

-80

-60

-40

-20

0

20

-- - - - -

-- -

-- - -

- - - - -- - - -

-

- --

--

-100

-80

-60

-40

-20

0

20



Sources: European Commission, BIS, ECB and ECB calculations.

Notes: See ESRB recommendation of 18 June 2014 on guidance for setting countercyclical buffer rates (ESRB/2014/1). ECB calculations and national calculations may differ.

Methodological change in time series for FR. Data has been revised backward from 2016-2019 for NFC loans.

2. Macro risk


2.3 Current account balance-to-GDP ratio(EU; percentages)

NL MT DK DE SI LU LT BG SE IT EA AT HR EE ES EU PL PT CZ LV FR FI HU BE GR SK UK RO CY IE-12

-9

-6

-3

0

3

6

9

12

- -- -

--

-- - - - - - - - -

- - - - - --

-- -

- --

-

-12

-9

-6

-3

0

3

6

9

12



Source: ECB and European Commission.

Notes: Quarterly data represent the sum of the four quarters up to and including the quarter of reference. The three-year average is compiled on the basis of the annualised ratio of the last 12 quarters.

The indicator includes amounts relating to special purpose entities (SPEs). Large proportions of their activities and their lending and indebtedness practices are not related to the domestic market. For

countries with a relevant presence of resident SPEs (in particular CY, HU, IE, LU, MT and NL), the impact on this indicator and its changes can be very significant. Additional information on the effect

of SPEs may be obtained from the relevant national compilers.

2.4 Unemployment rate(EU; percentage of labour force; seasonally adjusted)

GR ES LV CY FR LT HR SE LU EA SK FI EU IT PT BG IE BE EE AT RO DK SI MT HU DE NL PL CZ0

5

10

15

20

25

-

-

- - --

-- -

-- - -

--

- - - - - - - -- - - - -

-0

5

10

15

20

25

last observation: May 2020



Notes: For BE, BG, CZ, DK, DE, EA, EU, ES, FR, HR, IT, CY, LV, LT, LU, MT, NL, AT, PL, PT, RO, SI, SK, FI and SE, "last observation" refers to April 2020. For EE and HU, "last

observation" refers to March 2020. For GR, "last observation" refers to February 2020.

2. Macro risk


2.5 Aggregate debt-to-GDP ratio

a. Level(EU; percentages; last observation: Q4 2019)

CY LU BE GR NL UK PT IE FR IT SE DK ES FI AT MT DE HR SK SI HU PL CZ BG EE LV LT RO0

100

200

300

400 -

-- - - -

- - - - -- - - - -

- - - - - - - - - -

0

100

200

300

400

NFCshouseholds

general government


Sources: ECB and European Commission.

Notes: Debt-to-GDP ratios for NFCs and general government are based on consolidated debt figures. NFC figures for Croatia are consolidated for loans, but not for debt securities. Data for NFCs for

the UK are based on annual ESA2010 series for 2018. Three-year average is not calculated for the UK and it is not available for IE. The indicator includes amounts relating to special purpose entities

(SPEs). Large proportions of their activities and their lending and indebtedness practices are not related to the domestic market. For countries with a relevant presence of resident SPEs (in particular

CY, HU, IE, LU, MT and NL) the impact on this indicator and its changes can be very significant. Additional information on the effect of SPEs may be obtained from the relevant national compilers.

b. Year-on-year change(EU; percentage points; year-on-year changes; last observation: Q4 2019)

CY LU BE GR NL UK PT IE FR IT SE DK ES FI AT MT DE HR SK SI HU PL CZ BG EE LV LT RO-35

-30

-25

-20

-15

-10

-5

0

5

10

-35

-30

-25

-20

-15

-10

-5

0

5

10

change NFCschange householdschange general government


Notes: Debt-to-GDP ratios for NFCs and general government are based on consolidated debt figures. NFC figures for Croatia are consolidated for loans, but not for debt securities. Data on changes

of NFCs debt for the UK are based on annual ESA2010 series up to 2018. Data for change in NFCs debt is not available for IE. The indicator includes amounts relating to special purpose entities (SPEs).

Large proportions of their activities and their lending and indebtedness practices are not related to the domestic market. For countries with a relevant presence of resident SPEs (in particular

CY, HU, IE, LU, MT and NL), the impact on this indicator and its changes can be very significant. Additional information on the effect of SPEs may be obtained from the relevant national compilers.

2. Macro risk


2.6 General government debt-to-GDP ratio(EU; percentages)

GR IT PT BE FR CY ES UK EA EU HR AT HU SI DE FI IE NL SK PL MT LV LT RO SE DK CZ LU BG EE0

20

40

60

80

100

120

140

160

180

200

-

- -- - - -

- - - - - - - - - -- - - - - - - - - -

- --

0

20

40

60

80

100

120

140

160

180

200




Notes: Intra-general government transactions are consolidated. The black dashed line represents the threshold of 60% for the government debt-to-GDP ratio under the Stability and Growth Pact.

2.7 General government deficit-to-GDP ratio(EU; four-quarter moving sum; percentages)

RO FR ES UK HU BE IT SK FI EU PL EA EE LV PT LT CZ IE HR SE MT SI AT DE GR NL CY BG LU DK-4

-3

-2

-1

0

1

2

3

4

5

6

7

8

9

10

11

12

- - - - --

-- - - - - - - -

- -- - -

-- -

- - --

-- -

-4

-3

-2

-1

0

1

2

3

4

5

6

7

8

9

10

11

12




Notes: The black dashed line represents the threshold of 3% for the budget deficit under the Stability and Growth Pact. For a number of countries, the figures include bank recapitalisation costs.

Excluding these factors would in most cases lower the deficits.

2. Macro risk


2.8 CDS premia on sovereign debt(Sample of EU countries; basis points; five-year maturities; last observation: 9 Jun. 2020)

AustriaBelgiumGermany

GreeceSpainFinland

FranceIrelandItaly

NetherlandsPolandPortugal

Sweden

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20200

500

1000

1500

2000

Q2 Q3 Q4 Q1 Q22019 2020

0

125

250

375

500

Sources: Refinitiv and CMA.

Notes: Greek sovereign CDS were not traded between 9 March 2012 and 11 April 2012 following the decision by the ISDA that a credit event had occurred. Due to the lack of contributors, data

were also not available between 1 March and 21 May 2013. For presentational reasons, this chart has been truncated.

2.9 Government debt service(EU; percentage of GDP; May 2020 to Apr. 2021)

IT FR PT BE ES HU FI HR CY DE SI MT NL GR AT LV SE IE CZ DK RO LT PL SK LU EE BG0

2

4

6

8

10

12

14

16

18

20

0

2

4

6

8

10

12

14

16

18

20

face value due in 3 months or lessface value due over 3 and up to 12 months

interest to accrue in 1 year or lesseuro area, scheduled for the next 12 months

Source: ECB.

Notes: Debt service is a set of payments, including the principal amount and interest, to be made by the debtor over the life of a debt. Debt service is measured for the coming 12 months.

2. Macro risk


2.10 Household debt-to-gross disposable income ratio(EU; percentages)

DK NL SE LU CY UK FI IE BE FR PT ES DE AT GR SK EE IT CZ PL HR SI BG LT LV HU RO MT0

50

100

150

200

250

--

- - -

- --

- - - - - - -- - - - - - - - - - - -

0

50

100

150

200

250



n.a.


Notes: Data for SK are based on annual ESA2010 series for 2019, for CY, EE, HR, HU, LT, LU and LV are based on annual ESA2010 series for 2018, and for BG are based on annual ESA2010 series for 2017.

Data for MT are not available.

2.11 NFC debt-to-GDP ratio(EU; percentages)

LU CY IE NL BE SE FR PT DK UK MT FI ES AT BG IT EE HR GR DE CZ HU SK LV SI PL LT RO0

50

100

150

200

250 -

-

--

-- - - - - - - - - - - - - - - - - - - - - -

0

50

100

150

200

250




Notes: Debt-to-GDP ratios for NFCs are based on consolidated debt figures. NL data are consolidated at the level of the resident enterprise group. Figures for Croatia are consolidated for loans,

but not for debt securities. Data for UK are based on annual ESA2010 series for 2018. Three-year average is not available for IE. The indicator includes amounts relating to special purpose entities (SPEs).

Large proportions of their activities and their lending and indebtedness practices are not related to the domestic market. For countries with a relevant presence of resident SPEs (in particular

CY, HU, IE, LU, MT and NL), the impact on this indicator and its changes can be very significant. Additional information on the effect of SPEs may be obtained from the relevant national compilers.

3. Credit risk

15 ESRB risk dashboard - Section 3. Credit risk, 10 June 2020

3.1 Annual growth rates of MFIs loans to households(EU; percentages)

HU BG SK LT MT CZ EE BE SE FR RO DE HR AT PL LU FI SI DK IT PT LV CY NL IE ES GR-6

-4

-2

0

2

4

6

8

10

12

14

16

18

20

- - -- - - - - - -

-- -

- - --

-

- -- - - - - -

--6

-4

-2

0

2

4

6

8

10

12

14

16

18

20



Source: ECB.

Notes: Loans extended by MFIs excluding the ESCB. Data for euro area Member States refer to loans granted to euro area households, while for non-euro area Member States to loans to domestic

households. Euro area Member States data are adjusted for the derecognition of loans from the MFI statistical balance sheet due to their sale or securitisation. The figure is based on growth in the

index of notional stocks.

3.2 Annual growth rates of MFI loans to NFCs (EU; percentages)

IE LU HU BE FR FI AT DE ES SE SI HR SK BG CZ GR DK PT NL EE PL IT RO LV MT CY LT-6

-4

-2

0

2

4

6

8

10

12

14

16

18

- -

-

-- -

--

-

-- -

- --

-- - -

- -

--

--

- -

-6

-4

-2

0

2

4

6

8

10

12

14

16

18



Source: ECB.

Notes: Loans extended by MFIs excluding the ESCB. Data for euro area Member States refer to loans granted to euro area NFCs, while for non-euro area Member States to loans to domestic NFCs.

Euro area Member States data are adjusted for the derecognition of loans from the MFI statistical balance sheet due to their sale or securitisation.

3. Credit risk


3.3 Cost of borrowing from MFIs for households (for house purchase)(euro area; percentage points)

IE MT GR SI EE LV LT CY NL ES BE AT IT LU FR DE SK PT FI0

1

2

3

4

0

1

2

3

4


Source: ECB.

Notes: MFIs excluding ESCB. The cost of borrowing from MFIs is calculated as the weighted average of rates on short-term (i.e. initial period of interest rate fixation up to one year) and long-term

(i.e. initial period of interest rate fixation over one year) MFI loans, weighted by the volumes of new business (smoothed by the moving average of the previous two years).

3.4 Cost of borrowing from MFIs for NFCs(euro area; percentage points)

LV GR MT EE LT CY IE SI PT SK FI ES DE BE AT IT NL LU FR0

1

2

3

4

5

0

1

2

3

4

5


Source: ECB.

Notes: MFIs excluding ESCB. The cost of borrowing from MFIs is calculated as the weighted average of rates on short-term (i.e. initial period of interest rate fixation up to one year) and long-term

(i.e. initial period of interest rate fixation over one year) MFI loans, weighted by the volumes of new business (smoothed by the moving average of the previous two years).

3. Credit risk


3.5 Lending margins of MFIs - loans to households (for house purchase)(EU; percentage points)

RO HU PL HR BG IE GR DK LV SI LT MT CY BE CZ ES NL EE SE LU AT DE FR SK PT FI IT0

1

2

3

4

5

-

-

- - - -- - - - - -

--

- - - --

- - -- - -

--

0

1

2

3

4

5



Source: ECB.

Notes: Lending margins are measured as the difference between MFIs’ interest rates for new business loans and a weighted average rate of new deposits from households and NFCs. For non-euro

area countries, rates for loans and deposits in both euro and the national currency are taken into account. For UK, only loans and deposits in national currency are included in the calculation. For

euro area countries, rates refer to loans granted to euro area residents, whereas for non-euro area countries rates refer to loans granted to domestic residents.

Data for CZ is currently under revision.

3.6 Lending margins of MFIs - loans to NFCs(EU; percentage points)

LV GR LT MT RO CY HR BG IE SI PL PT EE SK CZ HU ES NL BE FI DE AT DK SE LU FR IT0

1

2

3

4

-

-

-- -

--

--

-- - -

-- - -

-- -

- - --

- -

-

0

1

2

3

4



Source: ECB.

Notes: Lending margins are measured as the difference between MFIs’ interest rates for new business loans and a weighted average rate of new deposits from households and NFCs. For non-euro

area countries, rates for loans and deposits in both euro and the national currency are taken into account. For UK, only loans and deposits in national currency are included in the calculation. For

euro area countries, rates refer to loans granted to euro area residents, whereas for non-euro area countries rates refer to loans granted to domestic residents.

Data for CZ is currently under revision.

3. Credit risk


3.7 Changes in credit standards for loans to households (for house purchase)(Sample of euro area countries; net percentages; last observation: Q2 2020)

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019-60

-40

-20

0

20

40

60

80

100

-60

-40

-20

0

20

40

60

80

100

Net tightening (+)

Net easing (-)

euro areaGermanySpain

ItalyFrance

Source: ECB.

Notes: Net percentages of banks contributing to the tightening of standards over the previous three months. The last observation refers to the quarter in which the most recent BLS was published.

3.8 Changes in credit standards for loans to NFCs(Sample of euro area countries; net percentages; last observation: Q2 2020)

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019-60

-40

-20

0

20

40

60

80

100

120

-60

-40

-20

0

20

40

60

80

100

120

Net tightening (+)

Net easing (-)

euro areaGermanySpain

ItalyFrance

Source: ECB.

Notes: Net percentages of banks contributing to the tightening of standards over the previous three months. The last observation refers to the quarter in which the most recent BLS was published.

3. Credit risk


3.9 Option-adjusted spreads on euro area corporate bonds(euro area; percentages; last observation: 9 Jun. 2020)

AA-ratedBBB-ratedhigh yield

0

400

800

1200

1600

2000

2400

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 Q2 Q3 Q4 Q1 Q22019 2020

0

100

200

300

400

500

600

700

800

900

1000

Source: Bank of America Merrill Lynch.

Note: Spreads (in basis points) over German government bonds for both plain vanilla bonds and bonds with embedded options (for which the value of the option is stripped using proprietary models).

3.10 Expected default frequency of the corporate sector(EU; percentages; average weighted by liabilities; last observation: Apr. 2020)

non-financial sectorfinancial sector

0

1

2

3

4

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 Q2 Q3 Q4 Q1 Q22019 2020

0.00

0.25

0.50

0.75

1.00

Sources: Moody’s Analytics and ECB calculations.

Note: The figures refer to listed companies. The weighted average is based on the amounts of non-equity liabilities. Model changed from EDF8 to EDF9 as of 1 June 2015. Data for the UK included.

3. Credit risk


3.11 Foreign currency loans

a. By currency (EU; percentages; last observation: Q1 2020)

HR BG RO HU PL CZ LU IE CY AT GR NL FR SE BE SI MT LV ES DE IT FI PT EE LT SK DK0

10

20

30

40

50

60

70

0

10

20

30

40

50

60

70

EURUSD

CHFAll currencies other than EUR, USD, CHF

n.a.

Source: ECB.

b. By sector(EU; percentages; last observation: Apr. 2020)

HR RO BG HU PL CZ CY IE AT LU DK GR NL SE FR BE SI LV ES MT DE IT FI EE PT LT SK0

10

20

30

40

50

60

70

0

10

20

30

40

50

60

70

householdsNFCs

financial institutions

Source: ECB.

c. Annual changes(EU; percentage points; last observation: Apr. 2020)

CZ HU FR BE PL NL SK FI ES SE IT DE LT EE PT DK LU SI LV AT MT GR CY RO BG IE HR-6

-4

-2

0

2

4

-6

-4

-2

0

2

4

Source: ECB.

Notes for charts 3.11 - a, b and c: BG (currency board arrangement) and DK have a regime of fixed exchange rates vis-à-vis the euro.

3. Credit risk

21 ESRB risk dashboard - Section 3. Credit risk , 10 June 2020

3.12 Over/undervaluation of residential property prices(EU; percentages)

AT BE BG CY CZ DE DK EE ES FI FR GR HR HU IE IT LT LU LV MT NL PL PT RO SE SI SK UK EA-40

-20

0

20

40

-40

-20

0

20

40

Last observation: Q4 2019 (range of estimates)Last observation: Q4 2019 (demand model)2007 (demand model, annual average)

Sources: Eurostat, national sources, ECB and ECB calculations.

Notes: Estimates based on four different valuation methods: price-to-rent ratio, price-to-income ratio, asset pricing approach and a Bayesian estimated inverted demand model. For further details

see Box 3, Financial Stability Review, ECB, June 2011; and box 3, Financial Stability Review, ECB, November 2015. For each country, the blue bars represent the range of estimates across the

four valuation methods. Estimates are up to Q2 2019 for CY and LT, Q3 2019 for BE, SI and SK and Q4 2019 for the other countries.

3.13 Change in nominal residential property prices(EU; percentages; last observation: Q4 2019)

-10 0 10 20 30 40 50-5

0

5

10

15

-5

0

5

10

15

one-

year

cha

nge

three-year change

BE

BG

CZ

DK

DE

EE

IE

GR

ESFR

IT

CY

LV

LT

LU

HU

MTNL

AT

PT

SI

SK

FI

SE

UK

HR

PL

RO

Sources: ECB, national sources and ECB calculations.

Notes: For CY and SK "last observation" refers to Q3 2019.

3. Credit risk


3.14 Insurance groups’ credit quality steps(EU; percentages; share of total bond portfolio; last observation: Q4 2019)

0

10

20

30

40

50

60

70

80

90

100

0

10

20

30

40

50

60

70

80

90

100

step 0step 1step 2step 3

step 4step 5step 6not available

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42017 2017 2018 2018 2018 2018 2019 2019 2019 2019


Note: indicator presents breakdown of the insurers’ bond portfolio according to

the different credit quality steps.

For more details on the Solvency II reporting please see Annex I to the risk dashboard.

4. Funding and liquidity

23 ESRB risk dashboard - Section 4. Funding and liquidity, 10 June 2020

4.1 Interbank interest rate spreads

(basis points; three-month maturities; last observation: 9 Jun. 2020)

EURUSDGBP

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2020-50

0

50

100

150

200

250

300

350

400

Q2 Q3 Q4 Q1 Q22019 2020

-505101520253035404550556065707580859095100105110115120125130135140

Sources: Refinitiv, Bloomberg Finance L.P. and ECB calculations.

Note: Difference between interbank interest rates and overnight indexed swap.

4.2 EUR/USD cross-currency basis swap spreads(basis points; last observation: 10 Jun. 2020)

EUR/USD three-month basis swapEUR/USD twelve-month basis swap

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2020-225

-200

-175

-150

-125

-100

-75

-50

-25

0

25

50

75

Q2 Q3 Q4 Q1 Q22019 2020

-95

-85

-75

-65

-55

-45

-35

-25

-15

-5

5

15

25

35

45

55

65

Source: Bloomberg Finance L.P.

Note: Data available since January 2008.



4.3 Banks’ funding by central banks(EU; share of total liabilities; percentages)

IT GR ES PT HU BE AT FR SI DE NL HR FI SE LU DK SK IE MT LT EE CY LV PL BG CZ RO0

1

2

3

4

5

6

7

8

9

10

-- -

-

- - --

-

- --

-- -

-- -

- - -- - - - - 0

1

2

3

4

5

6

7

8

9

10



n.a.

Sources: ECB and ECB calculations.

Notes: MFIs excluding the ESCB and Money Market Funds. Banks’ funding by central banks comprises all loans granted by the ESCB. Total liabilities exclude capital and reserves as well as

remaining liabilities.

4.4 Money markets and the Eurosystem’s standing facilities(euro area; EUR billions; last observation: 4 Jun. 2020)

marginal lending facility (minus) (l.h.s.)current account (l.h.s.)

deposit facility (l.h.s.)€STR volumes (r.h.s.)

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019-100

200

500

800

1100

1400

1700

2000

2300

Q2 Q3 Q4 Q12019 2020

-10

20

50

80

110

140

170

200

230

Sources: ECB and Bloomberg Finance L.P.

Note: Eurosystem’s current account includes minimum reserves. Starting from October 2019 the EONIA rate has been officially replaced with the new interbank rate €STR.



4.5 Maturity profile of Banks’ outstanding debt securities(EU27 fixed composition; EUR billions; last observation: May 2020)

up to 1 yearover 1 and up to 2 yrsover 2 and up to 5 yrs

over 5 and up to 10 yrsmore than 10 yrs

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20190

200

400

600

800

1000

1200

1400

Q3 Q4 Q1 Q22019 2020

0

200

400

600

800

1000

1200

1400

Sources: Dealogic DCM Analytics, Dealogic CPWare and ECB calculations.

Notes: The maturity profile refers to the residual maturity of long-term and short-term debt securities issued by European banks. Banks’ long-term debt includes corporate bonds, medium-term

notes, covered bonds, asset-backed securities and mortgage-backed securities with a maturity of more than 12 months. Banks’ short-term debt includes commercial papers certificates of deposits

and short-term notes with a maximum maturity of 12 months. Data are based on amounts outstanding at the end of the corresponding year or month.

4.6 Banks’ long-term debt securities issuance(EU27 fixed composition; EUR billions; last observation: May 2020)

covered bondssenior unsecured

subordinated unsecuredgovernment guarantee scheme

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20190

10

20

30

40

50

Q2 Q3 Q4 Q1 Q22019 2020

0

10

20

30

Source: Dealogic DCM Analytics.

Note: Debt issuance by EU public and private sector banks, excluding issuance of short term debt (i.e. with original maturity of below one year) and excluding ABS, MBS and agency related

issuances.



4.7 Loan-to-deposit ratio(EU; percentages)

DK SE FI LU IE NL SK AT FR ES DE GR EE PT IT PL HU LT MT BE CY CZ LV SI HR RO BG0

50

100

150

200

250

300

-

-

-- - - - - - - - - - - - - - - - - - - - - - - -

0

50

100

150

200

250

300

last observation: Q1 2020Q1 2019


Source: ECB.

Notes: MFI sector excluding the ESCB. Data refer to the ratio between total loans and total deposits vis-à-vis domestic and euro area households and NFCs, and non-domestic and non-euro area

residents excluding banks and general government. Mortgage banks in Denmark, which represent around 55% of total MFI loans to domestic NFCs, are not allowed to take deposits owing to

regulations, but must fund their lending through issuance of covered bonds only. Excluding mortgage banks from the indicator, the loan-to-deposit ratio for DK is equal to 0.64 for Q1 2020 and

0.63 for Q1 2019.

4.8 CDS spread between senior and subordinated debt(EU; basis points; five-year maturities; last observation: 9 Jun. 2020)

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20200

50

100

150

200

250

300

350

ISDA 2014 Definitions

Q2 Q3 Q4 Q1 Q22019 2020

0

25

50

75

100

125

150

175

Sources: Refinitiv, CMA and ECB calculations.

Notes: Data available for a sample of 39 large EU banks. Shift in data as of 22 September 2014 due to the implementation of the ISDA 2014 Credit Derivatives Definitions.



4.9 Insurance groups’ liquid asset ratio(EU; percentages; interquartile range and median; last observation: Q4 2019)

50

55

60

65

70

75

80

50

55

60

65

70

75

80

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

2017 2017 2018 2018 2018 2018 2019 2019 2019 2019Source: EIOPA, based on Solvency II Reporting.

Notes: Liquid asset ratio is expressed as proportion of liquid assets to total assets.

Data before Q3 2107 are not available.


5. Market risk

28 ESRB risk dashboard - Section 5. Market risk , 10 June 2020

5.1 Equity indicesa. By sector(EU, index: 4 Jan. 1999 = 100; last observation: 9 Jun. 2020)

EU banksEU building materials/fixturesEuro Stoxx 50

EU insurersEU industrials

0

50

100

150

200

250

300

350

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 Q2 Q3 Q4 Q1 Q22019 2020

0

50

100

150

200

250

300

350

Sources: Bloomberg Finance L.P. (Euro Stoxx 50) and Refinitiv (others).

b. Implied volatility(Euro Stoxx 50 index; last observation: 9 Jun. 2020)

0

10

20

30

40

50

60

70

80

90

100

2001 2003 2005 2007 2009 2011 2013 2015 2017 2019 Q2 Q3 Q4 Q1 Q22019 2020

051015202530354045505560657075808590


Notes: Volatility is implied by at-the-money options observed in the market. The implied volatility is based on EURO STOXX 50 Volatility Index (VSTOXX) traded on Eurex. It measures implied

volatility on options across all maturities. The blank spots in the plot of the index come from a lack of data series during public holidays when the financial markets are closed.

5. Market risk

29 ESRB risk dashboard - Section 5. Market risk, 10 June 2020

5.2 Price/earnings ratio of equity indices(EU; last observation: 9 Jun. 2020)

EU non-financial corporationsEU main index

EU banking sectorEU insurance sector

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20200

5

10

15

20

25

30

Q2 Q3 Q4 Q1 Q22019 2020

0

5

10

15

20

25

Source: Refinitiv.

5.3 Exchange rate volatility(Last observation: 9 Jun. 2020)

EUR-USD EUR-JPY USD-JPY

2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20200

6

12

18

24

30

36

Q2 Q3 Q4 Q1 Q22019 2020

0

2

4

6

8

10

12

14

16

18


Note: Volatility is implied by at-the-money option prices observed in the market for major currencies, based on three-month maturity.

5. Market risk


5.4 Short-term interest rates - implied volatility 1) 2) (three months - one year; last observation: 9 Jun. 2020)

EUR 3M1YGBP 3M1YUSD 3M1Y

2012 2013 2014 2015 2016 2017 2018 2019 20200

100

200

300

400

Q2 Q3 Q4 Q1 Q22019 2020

0

15

30

45

60

75

90

105

120

135

150

165

Source: Refinitiv.

1) Volatility is implied by at-the-money swaption prices observed in the market.

2) For technical reasons related to negative interest rates EUR 3M1Y rate is not available after 15 December 2014.

5.5 Long-term interest rates - implied volatility 1) 2) (three months - ten years; last observation: 9 Jun. 2020)

EUR 3M10YGBP 3M10YUSD 3M10Y

2012 2013 2014 2015 2016 2017 2018 2019 20200

30

60

90

120

150

180

210

Q2 Q3 Q4 Q1 Q22019 2020

0

60

120

180

240

300

360

420

Source: Refinitiv.

1) Volatility is implied by at-the-money swaption prices observed in the market.

2) For technical reasons related to negative interest rates the EUR 3M10Y rate is not available after 28 June 2019.

5. Market risk


5.6 Insurance groups’ assets and liabilities duration(EU; years; last observation: 2019)

0

2

4

6

8

10

12

14

0

2

4

6

8

10

12

14

LiabilitiesAssets

2016 2017 2018 2019


Notes: asset duration is calculated as Weighted Average Modified Duration.

Liability duration is calculated as Weighted Average Macaulay Duration.


6. Profitability and solvency

32 ESRB risk dashboard - Section 6. Profitability and solvency, 10 June 2020

6.1 Banking groups’ profitability indicators*

a. Return on equity(EU; percentages; interquartile range and median; last observation: Q4 2019)

b. Return on assets(EU; percentages; interquartile range and median; last observation: Q4 2019)

2014 2015 2016 2017 2018 20190

2

4

6

8

10

12

0

2

4

6

8

10

12

2014 2015 2016 2017 2018 20190.0

0.2

0.4

0.6

0.8

1.0

0.0

0.2

0.4

0.6

0.8

1.0

Source: EBA.

Note: Quarterly flows are annualised.

Source: EBA.

Note: Quarterly flows are annualised.

c. Cost-to-income ratio(EU; percentages; interquartile range and median; last observation: Q4 2019)

d. Net interest income to total operating income(EU; percentages; interquartile range and median; last observation: Q4 2019)

2014 2015 2016 2017 2018 201940

50

60

70

80

40

50

60

70

80

2014 2015 2016 2017 2018 201940

50

60

70

80

40

50

60

70

80

Source: EBA.

Quarterly data refer to cumulative flows over the corresponding year.

Source: EBA.

Quarterly data refer to cumulative flows over the corresponding year.

* The EBA data presented are subject to changes in the composition of the sample over time. The figures are subject to revision. Data are fully based on the EBA’s ITS

on supervisory reporting. Further details on the main methodological aspects of the EBA’s ITS are available on EBA’s website: www.eba.europa.eu.



6.2 Banking groups’ solvency, liquidity and balance sheet structure indicators*

a. CET1 to risk weighted assets ratio(EU; percentages; interquartile range and median; last observation: Q4 2019)

b. Non-performing loans to total gross loans and advances(EU; percentages; interquartile range and median; last observation: Q4 2019)

2014 2015 2016 2017 2018 201911

12

13

14

15

16

17

18

19

20

21

22

11

12

13

14

15

16

17

18

19

20

21

22

2014 2015 2016 2017 2018 20190

2

4

6

8

10

12

14

16

18

0

2

4

6

8

10

12

14

16

18

Source: EBA. Source: EBA.

c. Ratio of liquid assets to short term liabilities(EU; percentages; interquartile range and median; last observation: Q1 2018)*

d. Asset encumbrance ratio(EU; percentages; interquartile range and median; last observation: Q4 2019)

2014 2015 2016 201710

15

20

25

30

35

40

10

15

20

25

30

35

40

2015 2016 2017 2018 20195

10

15

20

25

30

35

40

5

10

15

20

25

30

35

40

Source: EBA.

*Indicator discontinued in Q1 2018

Source: EBA.

* The EBA data presented are subject to changes in the composition of the sample over time. The figures are subject to revision. Data are fully based on the EBA’s ITS

on supervisory reporting. Further details on the main methodological aspects of the EBA’s ITS are available on EBA’s website: www.eba.europa.eu.



6.3 Insurance groups’ profitability indicators

a. Return on equity(EU; percentages; interquartile range and median; last observation: H2 2019)

b. Combined ratio - non-life insurance(EU; percentages; interquartile range and median; last observation: Q4 2019)

1 2 1 2 1 22017 2018 2019

0

2

4

6

8

10

12

0

2

4

6

8

10

12

H12017

H22017

H12018

H22018

H12019

H22019

2017 2018 201970

75

80

85

90

95

100

105

110

70

75

80

85

90

95

100

105

110

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42017 2017 2018 2018 2018 2018 2019 2019 2019 2019


Notes: The return on equity is defined as the cumulated profit (loss) after tax and before

dividends, divided by the excess of assets over the liabilities for the current quarter.

The value for H1 2016 is not available.

Data not annualised.



Notes: The combined ratio is defined as net claims incurred and expenses incurred divided

by net written premiums. For more details on the Solvency II reporting please see Annex I

to the risk dashboard.


c. Expense ratio - non-life insurance(EU; percentages; interquartile range and median; last observation: Q4 2019)

d. Loss ratio - non-life insurance(EU; percentages; interquartile range and median; last observation: Q4 2019)

15

20

25

30

35

40

45

50

15

20

25

30

35

40

45

50

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42017 2017 2018 2018 2018 2018 2019 2019 2019 2019

30

35

40

45

50

55

60

65

70

75

30

35

40

45

50

55

60

65

70

75

Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42017 2017 2018 2018 2018 2018 2019 2019 2019 2019


Notes: Expense ratio is defined as expenses incurred divided by net written premiums. For

more details on the Solvency II reporting please see Annex I to the risk dashboard.



Notes: Loss ratio is defined as net claims incurred divided by net written premiums. For

more details on the Solvency II reporting please see Annex I to the risk dashboard.




6.4 Insurance groups’ solvency indicators

a. Insurance groups’ solvency ratio(EU; percentages; interquartile range and median; last observation: Q4 2019)

b. Insurance groups’ excess of assets over liabilities(EU; EUR billions; interquartile range and median; last observation: Q4 2019)

140

160

180

200

220

240

260

280

140

160

180

200

220

240

260

280

Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42016201720172017201720182018201820182019201920192019

1000

2000

3000

4000

5000

6000

7000

8000

9000

10000

1000

2000

3000

4000

5000

6000

7000

8000

9000

10000

Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42017 2018 2018 2018 2018 2019 2019 2019 2019



The values for Q1 2016 and Q2 2016 are not available.




6.5 Insurance groups’ quality of own funds(EU; percentages; share of total eligible own funds; last observation: Q4 2019)

0

10

20

30

40

50

60

70

80

90

100

0

10

20

30

40

50

60

70

80

90

100

tier 1, restrictedtier 1, unrestrictedtier 2tier 3

Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42017 2018 2018 2018 2018 2019 2019 2019 2019


Note: indicator presents breakdown of the quality of the Solvency II own funds

according to the different tiers.



7. Structural risk

36 ESRB risk dashboard - Section 7. Structural risk , 10 June 2020

7.1 Banking sector size(EU; share of nominal GDP; percentages; last observation: Q3 2019)

LU UK FI FR MT NL DK ES SE CY AT BE DE PT IT IE CZ GR EE HR BG HU SI SK PL LV LT RO0

100

200

300

400

500

600

-

--

--

- - - -- - - -

- - - -- - - - - - - - - -

0

100

200

300

400

500

600

Total consolidated assets of domestic banking groupsTotal assets of foreign controlled branches and subsidiaries


Q3 2019: 1,4733-y.a.: 1,477

Sources: ECB and Eurostat.

Notes: Based on Consolidated Banking Data. The three-year average is based on quarterly data.

7.2 Banking sector leverage(EU; share of total assets in capital)

DK NL BE SE FR FI UK DE CZ ES IT AT CY PT LU HR PL RO MT HU EE GR IE BG LT SI SK LV6

8

10

12

14

16

18

20

- - - --

--

- -

- -- - -

-

-- - -

-- - - -

-- - -

6

8

10

12

14

16

18

20

last observation: Q3 2019Q3 2018


Sources: ECB.

Notes: Share of total assets in capital for domestic banking groups and stand-alone credit institutions. Consolidated data. The three-year average is based on quarterly data.

7. Structural risk

37 ESRB risk dashboard - Section 7. Structural risk, 10 June 2020

7.3 Growth of components of the EU financial sector(EU; percentages; total assets annualised growth rates; last observation: Q4 2019)

7.4 Total assets of investment funds and OFIs(as per cent of credit institutions’ total assets; last observation: Q4 2019)

Investment funds and OFIsCredit institutionsInsurance corporations and pension funds

2010 2015-10

-5

0

5

10

15

20

2018 2019-10

-5

0

5

10

15

20

EUEuro area

2010 201540

50

60

70

80

90

100

110

120

2018 201940

50

60

70

80

90

100

110

120

Source: ECB.

Notes: Data based on financial accounts and monetary statistics. Data refer to the

non-consolidated balance sheets of the respective entities.

Source: ECB.

7.5 Total assets of investment funds and OFIs in the EU

a. Outstanding amounts(EU; percentages of EU GDP; last observation: Q4 2019)

b. Cumulated flows(EU; EUR billions; four-quarter cumulated flows; last observation: Q4 2019)

LU UK NL IE DE FR IT BE O0

10

20

30

40

50

60

70

80

90

100

0

10

20

30

40

50

60

70

80

90

100

total, non-euro area countriesmoney market fundsnon-MMF investment fundsfinancial vehicle corporations

thercountries

2011 2012 2013 2014 2015 2016 2017 2018 2019-1000

-500

0

500

1000

1500

2000

2500

-1000

-500

0

500

1000

1500

2000

2500

OFIs other than financial vehicle corporationsEU (total)euro area (total)


Note: The full set of breakdowns is only available for euro area Member States.

Source: ECB.

7. Structural risk

38 ESRB risk dashboard - Section 7. Structural risk, 10 June 2020

7.6 Non-MMF investment funds ratio of short term assets to short term liabilities(euro area; percentages; last observation: Mar. 2020)

2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 20190

6

12

18

24

30

0

6

12

18

24

30

equity fundsbond fundsmixed fundsreal estate funds

hedge fundsother fundstotal funds

Source: ECB.

Notes: Short-term assets include non-MMF investment funds’ holdings of debt securities and loans and deposits with original maturity up to one year; short-term liabilities include open-ended

fund units issued and loans received with original maturity up to one year. Maturity breakdowns for loans and deposits are available from 2014 Q4 and are estimated for prior periods based on

the maturity breakdowns in 2015 for these instruments (for respective counterparty sectors).

7.7 Insurance groups’ profitability indicators

a. Gross premiums written - life insurance(EU; annual growth rates; interquartile range and median; last observation: Q4 2019)

b. Gross premiums written - non-life insurance(EU; annual growth rates; interquartile range and median; last observation: Q4 2019)

2018 2019-10

-5

0

5

10

15

20

25

-10

-5

0

5

10

15

20

25

Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q42017 2018 2018 2018 2018 2019 2019 2019 2019

2018 2019-15

-10

-5

0

5

10

15

-15

-10

-5

0

5

10

15

Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4

2017 2018 2018 2018 2018 2019 2019 2019 2019Source: EIOPA, based on Solvency II Reporting.

Notes: For more details on the Solvency II reporting please see Annex I to the risk dashboard



Notes: For more details on the Solvency II reporting please see Annex I to the risk dashboard


8. Risk related to central counterparties

39 ESRB risk dashboard - Section 8. Risk related to central counterparties, 10 June 2020

8.1 Prefunded default resourcesRatio of own capital to default funds (ratio, quarter-end, last observation: Q4 2019)

ATHEXC CCG EUREXC ECC ICEU KELER LCHSA NASDAQC SIXX ICCBMEC CCPA EUROCCP ICENL KDPW_CCP LCHLTD LMEC OMICLEAR CME_INC HKCC

0.0

0.5

1.0

1.5

2.0

2.5

3.0

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Skin-in-the-game to Default FundOwn capital alongside and after to Default Fund

Source: CPMI-IOSCO quantitative public disclosure data & ESRB Secretariat calculations.

Note: Mutualised default funds are only used to absorb losses if the defaulting member’s variation margin, initial margin, and CCP’s skin-in-the-game, respectively, are insufficient. Initial margin is

the first line of defence against loss mutualisation and calculated in relation to the risk brought by clearing members. The primary purpose of skin-in-the-game is to ensure CCPs’ incentives are

aligned with those of their clearing members. It is calculated in relation to a capital requirement. The chart shows a ratio of own capital (with graphical distinction of its subparts) to the default

fund contributions provided by the clearing members. Information provided for segregated clearing services have been aggregated into a single structure. Each bar represents a quarter. Data for

Keler CCP and ICE NL not included for 2017 Q3. Q1, Q2 and Q3 2018 observation of ’’Own capital alongside and after to Default Fund’’ for KDPW_CCP taken out due to quality checks.

No data are reported for ECC

8.2 Haircut and margining policiesHaircut on non-cash initial margin (in fractions, quarter-end, last observation: Q4 2019)


0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

Haircut on non-cash initial margin


Note: Margins and haircuts are essential parts of the CCP risk management frameworks. Initial margins are designed to protect a CCP against losses stemming from the default of a clearing

member while haircuts aim to mitigate a fall in market value of collateral in case the collateral has to be sold. Reported haircuts for ICE NL, and OMIClear equal zero. PQD 20.2.1 is

added to PQD 6.2.15 for CC&G from 2016 Q3 onwards as they do not include initial margin resulting from interoperability arrangements in PQD 6.2.15. ECC and HKCC do not report PQD 6.2.15



8.3 Collateral policiesCollateralisation (ratio, quarter-end, last observation: Q4 2019)


0.0

2.0

4.0

6.0

8.0

10.0

12.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

Collateralisation


Note: A level above 1 indicates an overcollateralisation, while a level below 1 an undercollateralisation. Clearing members may voluntarily hold a buffer of excess collateral to reduce operational

complexity. CPMI-IOSCO final guidance on CCP resilience recommends that CCPs do not rely on the additional collateral posted by their members over the margin required when assessing the adequacy

of their financial resources. This is because the additional collateral might be withdrawn in a stressed period. No data available for LMEC in 2017 Q1 for PQD 6.2.15 and no data for PQD 6.1.1

and 6.2.15 for ICE NL in 2017 Q2 and Q3. PQD 20.2.1 is added to PQD 6.2.15 for CC&G from 2016 Q3 onwards as they do not include initial margin resulting from interoperability arrangements in

PQD 6.2.15. Information provided for segregated clearing services has been aggregated into a single structure. Each bar represents a quarter.

ECC and HKCC do not provide PQD 6.2.15

8.4 Liquidity policies: qualifying liquid resources to the estimated largest same-day payment obligationRatio of qualifying liquid resources over estimated largest same-day payment obligation (ratio, in quarter, last observation: Q4 2019)


0.0

5.0

10.0

15.0

20.0

25.0

30.0

0.0

5.0

10.0

15.0

20.0

25.0

30.0

Ratio of qualifying liquid resources over estimated largest same-day payment obligation


Note: EMIR requires CCPs to cover liquidity risk generated by the default of at least the two clearing members to which the CCP has the largest exposures. No data available for OMIClear for PQD 7.3.1 for 2017 Q3 and Q4

for PQD 7.3.1. ICE NL reports zeros for PQD 7.3.1. in 2017 Q3. Each bar represents a quarter. Average values have been taken for

PQD 7.1.2-7.1.9 in order to align stocks with flows. No data available for CME Inc for PQD 7.3.1



8.5 Liquidity policies: cash ratioCash ratio (ratio, quarter-end, last observation: Q4 2019)


0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

Cash ratio


Note: EMIR requires that CCPs maintain sufficient liquid resources commensurate with their liquidity requirements. This indicator shows the share of initial margin provided and held in cash.

Keler CCP reports zero values for PQD 16.1.1 and no data are available for ECC, ICE NL and HKCC on 6.2.15. Each bar represents a quarter.

PQD 20.2.1 is added to PQD 6.2.15 for CC&G from 2016 Q3 onwards as they do not include initial margin resulting from interoperability arrangements in PQD 6.2.15.

8.6 Concentration at CCP levelInitial margin, deafult fund and client clearing concentration (ratio, average in quarter, last observation: Q4 2019)


0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

Initial margin concentration (Q4 2019)Initial margin concentration (Q3 2019)

Default Fund Concentration (Q4 2019)Default Fund Concentration (Q3 2019)

Client Clearing Concentration (Q4 2019)Client Clearing Concentration (Q3 2019)


Note: This indicator shows an estimate of the five largest clearing members’ average contributions to total initial margin, default fund contributions and client clearing at the clearing service level

within a CCP. All bars refer to 2017 Q2 and Q3. PQD 18.3 and 18.4 show quarter averages and therefore averages are taken for PQD 6.2.15 and 4.1.5 to match stocks with flows. No data available

for CME Inc and ICE NL in any quarters, as well as for AthexC, ECC, LCH Ltd., LCH SA and SIXX on initial margin and client clearing concentration measures.



8.7 Wind-down ratioWind-down ratio (ratio, annual, last observation: 2019)


0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

Wind-down ratio


Note: A ratio above 0.5 indicates that a CCP has liquid net assets funded by equity to cover 6 months of operating costs. No data for ICE NL were reported for 2017 Q4 onwards.

No data reported for CME Inc. and HKCC. Each bar represents a quarter.

8.8 Interoperability arrangementsShare of initial margin provided for interoperability arrangements in total margin at clearing service level (ratio, quarter-end, last observation: Q4 2019)

CCG EUROCCP LCHLTD LCHSA

0.10

0.20

0.30

0.40

0.50

0.60

0.10

0.20

0.30

0.40

0.50

0.60

Share of initial margin provided for interoperability arrangements


Note: Interoperability arrangements allow clearing members of a CCP to clear their trades through a different CCP. Currently, there are five interoperability arrangements in Europe in place:

CC&G - LCH SA, Euro CCP - LCH Ltd., EuroCCP - six x-clear AG (CH), LCH Ltd. - six x-clear AG (CH), LCH Ltd. - six x-clear Norwegian branch (CH/NO). The indicator shows the initial margin provided

for interoperability arrangements as a share of total initial margin. Each bar represents a quarter. PQD 20.2.1 is added to PQD 6.2.15 for CC&G from 2016 Q3 onwards, as they do not include initial

margin resulting from interoperability arrangements in PQD 6.2.15.



8.9 Share of client clearingShare of total initial margin required for client clearing (last observation: Q4 2019)


0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

0.80

0.90

1.00

Share of client clearing


Note: This indicator considers the extent of direct and indirect clearing at a CCP. Client clearing is an essential part of a well-functioning clearing market, but a high share of client clearing

may indicate an increased dependence on some direct members offering client clearing.

8.10 Cash reinvestment policiesBreakdown info (last observation: Q4 2019)


0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

0.0

0.1

0.2

0.3

0.4

0.5

0.6

0.7

0.8

0.9

1.0

Central bank depositDomestic government bondsOther government bonds

Cash desposits at commercial banksOther deposits including MMFOther securities


Note: This indicator shows the investment strategies applied by a CCP. In line with EMIR requirements, a CCP could either deposit the cash received from clearing members in a central bank or other

financial institution, or reinvest it in securities, including domestic or foreign government bonds.’Other deposits’ include unsecured deposits at commercial banks, deposits in MMF and in other forms.

’Other securities’ include agency bonds, state/municipal bonds and other instruments.

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